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Periodic Lyapunov matrix equations play important roles in stability analysis and stabilisation of discrete-time periodic systems. In this paper, an iterative algorithm for solving periodic Lyapunov matrix equations is established. It is shown that the proposed iteration converges to the unique solution of the considered matrix equations at finite steps with arbitrary initial condition despite the stability of the associated discrete-time periodic linear systems. Both the reverse-time and forward-time discrete-time periodic Lyapunov matrix equations are considered. Numerical examples are worked out to illustrate the effectiveness of the proposed algorithm.